Thanks Graham, I see it now. The -1 on the numerator signifies the equity risk percentage.
Paul --- In [email protected], Graham <[EMAIL PROTECTED]> wrote: > > PositionSize = Max( -1/ShareRisk*BuyPrice, -10 ); > > example > Buyprice = 20.00 > Sharerisk = 1.00 (5%) > Equity Risk = 1% > > PositionSize = Max( -1*20.00/1.00, -10) = Max( -20,-10 ) = -10; ie 10% > equity size, because it exceeds your 10% limit > > example > Buyprice = 20.00 > Sharerisk = 4.00 (20%) > Equity Risk = 1% > > PositionSize = Max( -1*20.00/4.00, -10) = Max( -5,-10 ) = -5; ie 5% equity > size > > > The larger the stop amount, the smaller the trade size > > > > > -- > Cheers > Graham > AB-Write >< Professional AFL Writing Service > Yes, I write AFL code to your requirements > http://www.aflwriting.com > > > > On 06/05/07, Paul Ho <[EMAIL PROTECTED]> wrote: > > > > Its probably easlier to use setpositionsize(), look up the help file > > > > ------------------------------ > > *From:* [email protected] [mailto:[EMAIL PROTECTED] *On > > Behalf Of *polomorabe > > *Sent:* Sunday, 6 May 2007 7:18 PM > > *To:* [email protected] > > *Subject:* [amibroker] Re: Backtest: specifying position size in terms of > > compounded capital c,ount > > > > Thanks for the reply Graham. > > > > However, it doesn't work. > > > > For example, if the risk per share is 0.01, and the price is 1.46 (as > > it was recently for IVAN), then your formula gives > > MAX( -146, -10 ) > > which I don't suppose is what you mean. > > > > I'm trying to do something like this. Position size is calculated such > > that the position risk is either 1% of capital, or 10% of capital. But > > during the backtest, this formula uses the initial capital, not the > > current capital. > > > > ShareRisk = BuyPrice - Ref(L,-1); > > PositionRisk = 0.01 * Capital; > > PositionSize = Min( ( PositionRisk/ShareRisk ) * BuyPrice, > > Capital * 0.1 ); > > > > Any ideas? > > Paul > > > > --- In [email protected] <amibroker%40yahoogroups.com>, Graham > > <kavemanperth@> wrote: > > > > > > Try this > > > > > > PositionSize = Max( -1/ShareRisk*BuyPrice, -10 ); > > > > > > -- > > > Cheers > > > Graham > > > AB-Write >< Professional AFL Writing Service > > > Yes, I write AFL code to your requirements > > > http://www.aflwriting.com > > > > > > > > > On 06/05/07, polomorabe <paul.moore@> wrote: > > > > Hello, > > > > > > > > I noticed in the User Manual that using a negative value for > > > > PositionSize specifies the percentage of current capital per trade. > > > > How can I combine this with defining the maximum risk per trade? > > > > > > > > For example, the following specifies the position size as the > > minimum of: > > > > - the value of 1% of the initial capital > > > > - the share risk of 0.1% of the initial capital. > > > > How can it be specified as a percentage of the compounded capital > > amount? > > > > > > > > Many thanks, > > > > Paul > > > > > > > > // Setup portfolio > > > > Capital = 100000; > > > > SetOption("InitialEquity", Capital ); > > > > SetOption( "MaxOpenPositions", 10 ); > > > > SetOption( "CommissionMode", 3 ); > > > > SetOption( "CommissionAmount", 0.01 ); > > > > ShareRisk = BuyPrice - Ref(L,-1); > > > > PositionRisk = 0.01 * Capital; > > > > PositionSize = Min(( PositionRisk/ShareRisk ) * BuyPrice, Capital > > * 0.1); > > > > > > > > > > > > > > > > > >
